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dc.contributor.authorÇağlayan, Mustafa Onur
dc.contributor.authorPinter, Janos D.
dc.date.accessioned2016-02-18T12:08:34Z
dc.date.available2016-02-18T12:08:34Z
dc.date.issued2010
dc.identifier.isbn978-9955-28-598-4
dc.identifier.urihttp://hdl.handle.net/10679/3133
dc.description.abstractWe propose a new financial indicator and risk metric embedded in a currency trading model to assist investors in currency markets. Since our model is highly nonlinear, we utilize global optimization technology to maximize the performance of the currency basket, based on our selection of key decision variables. We introduce the model and present numerical results based on actual market data.
dc.language.isoengen_US
dc.relation.ispartof24th Mini EURO Conference “Continuous Optimization and Information-Based Technologies in the Financial Sector” (MEC EurOPT 2010)
dc.rightsopenAccess
dc.titleOptimized calibration of currency market strategiesen_US
dc.typeConference paperen_US
dc.peerreviewedyes
dc.publicationstatuspublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID(ORCID 0000-0002-8598-4269 & YÖK ID 21940) Çağlayan, Mustafa
dc.contributor.authorID(ORCID & YÖK ID 202094) Pinter, Janos
dc.contributor.ozuauthorÇağlayan, Mustafa Onur
dc.contributor.ozuauthorPinter, Janos D.
dc.identifier.startpage5
dc.identifier.endpage10
dc.subject.keywordsQuantitative financial model development
dc.subject.keywordsCurrency markets
dc.subject.keywordsGlobally optimized trading strategy
dc.subject.keywordsNumerical results
dc.identifier.scopusSCOPUS:2-s2.0-84905454956
dc.contributor.authorMale2
dc.relation.publicationcategoryConference Paper - International - Institutional Academic Staff


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